3. Futures Contract Trading Regulations
Template and conditions can be found [here]
Template and conditions can be found [here]
Template and conditions can be found [here]
Template and conditions can be found [here]
Trading hours are from Monday to Friday, excluding the Public holidays.
Session | Trading method | Trading hour | Trading types |
---|---|---|---|
Morning session | Periodical Order Matching – At the Opening | 08:45 – 09:00 | LO, ATO |
Continouos Order Matching | 09:00 – 11:30 | LO, MTL, MOK, MAK | |
Put-through | 08:45 – 11:30 | Put-through | |
Intermission | 11:30 – 13:00 | ||
Afternoon session | Continouos Order Matching | 13:00 – 14:30 | LO, MTL, MOK, MAK |
Periodical Order Matching – At the Closing | 14:30 – 14:45 | LO, ATC | |
Put-through | 13:00 – 14:45 | Put-through |
6.1. Price Limit for Futures Contracts
Price limit for futures contracts is determined as follows:
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Ceiling Price = Reference Price + (Reference Price × Price Limit)
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Floor Price = Reference Price – (Reference Price × Price Limit)
6.2. Adjusting price limits
If, after calculation, the ceiling price and floor price are equal to the reference price, the price limits will be re-determined as follows:
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Adjusted Ceiling Price = Reference Price + 1 Tick Size
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Adjusted Floor Price = Reference Price – 1 Tick Size
6.3. Price Limit for reference price equal to one tick size
If the reference price is equal to one tick size, the price limit will be re-determined as follows:
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Adjusted Ceiling Price = Reference Price + 1 Tick Size
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Adjusted Floor Price = Reference Price
7.1. Order matching:
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Periodical Order Matching: This is a trading method conducted by the trading system, where buy and sell orders for futures contracts are matched at a specified point in time.
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Continuous Order Matching: This is a trading method conducted by the trading system, where buy and sell orders for futures contracts are matched immediately upon entry into the system.
7.2. Put through trading method:
The put-through trading method involves a process where the trading conditions are mutually agreed upon by the participating parties and confirmed through the trading system.
The trading system matches buy and sell orders for futures contracts based on the principles of price and time priority, specifically as follows:
8.1. Price priority:
a) Buy orders with higher prices are given execution priority;
b) Sell orders with lower prices are given execution priority.
8.2. Time priority:
If buy or sell orders are placed at the same price, the order that is entered into the trading system first will take priority for execution.
9.1. Principle of Determining the Periodic Matching Price:
a) The transaction price at which the trading volume is the highest, and where all buy orders with a higher price and sell orders with a lower price than the selected price must be fully executed;
b) In cases where multiple prices satisfy Point a, the price selected for execution is the one at which orders from one side are fully executed, while orders from the opposite side must be fully or partially executed;
c) In cases where multiple prices satisfy Point b, the selected price is the one that matches or is closest to the most recent transaction price based on the matching method;
d) If no price satisfies Point b, the selected price is the one that satisfies Point a and is identical to or closest to the most recent transaction price according to the matching method.
9.2. Principle of Determining the Continuous Matching Price:
The transaction price is the price of the corresponding order waiting in the order book.
10.1. Limit Order (LO):
a) LO orders are buy or sell orders for futures contracts at a specified price or better. A "better" price means a higher price for sell orders and a lower price for buy orders.
b) LO orders are entered into the trading system under the following principles:
- LO orders can be entered during both continuous matching and periodic matching sessions;
- LO orders are valid from the moment they are entered into the trading system until the end of the trading day or until they are canceled.
10.2. Market Order:
a) A market order is an order to buy futures contracts at the lowest available sell price or to sell futures contracts at the highest available buy price on the market.
b) Market orders may only be entered during the continuous order-matching session.
c) A market order will be canceled immediately by the trading system if there is no matching counter order. If a counter order exists, the market order will be executed according to the specific market order type defined in Point d.
d) Types of market orders:
Market-to-Limit (MTL): If not fully executed:
- For MTL buy orders: The unexecuted portion is converted into an LO buy order at a price one tick higher than the last executed price, or at the ceiling price if the last executed price is the ceiling price.
- For MTL sell orders: The unexecuted portion is converted into an LO sell order at a price one tick lower than the last executed price, or at the floor price if the last executed price is the floor price.
- MTL orders converted to LO orders must comply with the amendment and cancellation rules for LO orders.
Match-or-Kill (MOK): If not fully executed immediately upon entry, the order will be canceled entirely.
Match-and-Kill (MAK): May be fully or partially executed; any unexecuted portion will be immediately canceled.
10.3. Market Order on Opening Price (ATO)
a) An ATO order is an order to buy or sell futures contracts at the opening price;
b) The quantity of ATO buy (or sell) orders is added to the buy (or sell) volume at each price level to determine the executable volume at each price during the periodic call auction;
c) ATO orders are given priority over limit orders during the allocation of matched orders, except when LO sell orders at the floor price or LO buy orders at the ceiling price were entered before ATO orders, in terms of time priority;
d) If, during the opening periodic call auction session, only ATO orders are present on both sides of the order book, the matched price is determined as follows:
- Equal to the reference price if total buy volume equals total sell volume;
- Equal to the reference price plus one (01) tick size if total buy volume exceeds total sell volume;
- Equal to the reference price minus one (01) tick size if total buy volume is less than total sell volume;
e) ATO orders can only be entered into the system during the opening periodic call auction session. After the matching time of this session, any unexecuted or partially executed ATO orders will become invalid.
10.4. Market order on closing price (ATC)
a) An ATC order is an order to buy or sell futures contracts at the closing price;
b) The quantity of ATC buy (or sell) orders is added to the buy (or sell) volume at each price level to determine the executable volume at each price during the periodic call auction;
c) ATC orders are given priority over limit orders during the allocation of matched orders, except in cases where LO sell orders at the floor price or LO buy orders at the ceiling price were entered before ATC orders, based on time priority;
d) If, during the closing periodic call auction session, only ATC orders are present on both sides of the order book, the matched price is determined as follows:
- Equal to the last traded price if total buy volume equals total sell volume;
- Equal to the last traded price plus one (01) tick size if total buy volume exceeds total sell volume;
- Equal to the last traded price minus one (01) tick size if total buy volume is less than total sell volume;
e) ATC orders can only be entered into the system during the closing periodic call auction session. After the matching time of this session, any unexecuted or partially executed ATC orders will become invalid.
11.1 The amendment or cancellation of matched orders is only valid for orders that have not yet been executed or for the unexecuted portion of the orders.
11.2 Limit orders may be amended in terms of price or quantity or canceled during the trading session. The order priority after amendment is determined as follows:
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The order’s priority remains unchanged if only the quantity is decreased.
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The order’s priority is determined based on the time the amended order is entered into the trading system if the quantity is increased or the price is changed.
11.3 It is not allowed to amend both the price and the quantity of an order simultaneously.
11.4 Amendments or cancellations of orders are not permitted during the entire periodic order matching session.
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Put-through transactions that have been established on the trading system (with confirmation from both counterparties) cannot be amended or canceled.
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During trading hours, a derivatives trading member is allowed to amend or cancel a put-through order only if it has not yet been confirmed by the counterparty.
13.1 The trading system updates the list of accounts with trading restrictions from the VSDC system.
13.2 For accounts on the list of trading restrictions mentioned in Clause 1, the trading system will process as follows:
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Allow cancellation of orders that have not been executed, or the remaining portion of an order that has not been executed.
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Only accept new orders with a close-out parameter.
13.3 Members are responsible for complying with VSDC regulations when submitting orders with the close-out parameter for investors.